Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
This paper determines whether the VaR estimation is influenced by conditional distribution of return rates (normal, t-student, GED) and attempts to choose the model which best estimates VaR on a selected example. We considered logarithmic return rates for the WIG-20 index from 1999-2011. Then, on their basis we estimates various types of ARIMA-GARCH (1,1) models. Applying relevant models we calculated VaR for the long and short position. The differences between the models were settled on the basis of the Kupiec test. (original abstract)
Twórcy
autor
Bibliografia
- Bałamut, T. (2002). Metody estymacji Value at Risk. Materiały i Studia NBP.
- Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, p. 31.
- Degiannakis, S., Angelidis, T. (2006). Modeling Risk: VaR Methods for Long and Short Positions, Athents.
- Doman, M., Doman, R. (2009). Modelowanie zmienności i ryzyka. Warszawa: Wolters Kluwer Polska.
- Engle R. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation, Econometrica, No. 50.
- Engle R., Manganelli S. (1999). CaViar: Conditional Autoregressive Value-at-Risk by Regression Quantiles, discussion paper 99-20, Department of Economics, San Diego: University of California.
- Fiszeder, P. (2009). Modele klasy GARCH w empirycznych badaniach finansowych. Tarnów: Wydawnictwo Naukowe Uniwersytetu Mikołaja Kopernika.
- Jackson P., Maude, D., Perraudin, W. (1998). Bank capital and Value at Risk. Bank of England.
- Leśkow, J., Napolitano, A. (2004). Fraction-of-time Approach in Predicting Value-at Risk, Lecture Notes in Mathematical Economics, Springer Verlag p. 183 - 200.
- Manganelli S., Engle R. (2001), Value at Risk Models In Finance, European Central Bank.
- Pera, K. (2008). Koncepcja VaR (valueatrisk) w pomiarze ryzyka surowcowego projektu inwestycyjnego, Gospodarka surowcami mineralnymi, Vol. 24.
- Pipień, M. (2006). Wnioskowanie bayesowskie w ekonometrii finansowej. Kraków: Wydawnictwo Akademii Ekonomicznej w Krakowie.
- Shumway, R. H., Stoffer, D. S. (2010). Time Series Analysis and its Applications: with R Example, Springer Verlag.
- Ślepaczuk R., Zakrzewski, G., Sakowski, P. (2011). Investment Strategies Beating the Market. What Can we Squeeze from the Market?
- Wilhelmsson, A. (2009). Value at Risk with Time Varying Variance, Skewness and Kurtosis-the NIG-ACD model, Econometrics Journal, p. 82-104.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171296647